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Prediction, filtering and smoothing using LSCR: State estimation algorithms with guaranteed confidence sets

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2 Author(s)
Weyer, E. ; Department of Electrical and Electronic Engineering, The University of Melbourne, Parkville, VIC 3010, Australia ; Campi, M.C.

In this paper we present a new approach to state estimation based on the Leave-out Sign-dominant Correlation Regions (LSCR) principle from system identification. The LSCR approach constructs a confidence set for the state which has the property that, regardless of the value of the true state, the constructed confidence set will contain it with a guaranteed user chosen probability. This property makes the approach potentially very useful in monitoring and detection applications. The proposed approach is illustrated in simulation examples.

Published in:

Decision and Control and European Control Conference (CDC-ECC), 2011 50th IEEE Conference on

Date of Conference:

12-15 Dec. 2011